Probability Analysis: Tools for SPY Options Trading
Hover over any point on the chart to see the probability of expiring above that strike price!
Expected Move Formula
\( EM = S \times \sigma \times std \times \sqrt{\tfrac{DTE}{365}} \)
- Volatility σ: VIX as the proxy value for SPY options pricing.
- Probability Analysis: The probability of expiring above one strike price on a certain day is measured by option deltas.
SPY Expected Move
| Expiration | Dec 29 (3D) | Dec 30 (4D) | Dec 31 (5D) | Jan 01 (6D) | Jan 02 (7D) | Jan 05 (10D) | Jan 06 (11D) | Jan 07 (12D) | Jan 08 (13D) | Jan 09 (14D) | Jan 16 (21D) | Jan 23 (28D) | Jan 30 (35D) | Feb 06 (42D) | Feb 13 (49D) | Feb 20 (56D) | Feb 27 (63D) | Mar 06 (70D) | Mar 13 (77D) | Mar 20 (84D) | Mar 27 (91D) |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| lower | 681.770 | 680.459 | 679.305 | 678.261 | 677.301 | 674.774 | 674.019 | 673.297 | 672.605 | 671.940 | 667.826 | 664.358 | 661.303 | 658.540 | 656.000 | 653.636 | 651.415 | 649.315 | 647.317 | 645.409 | 643.578 |
| upper | 698.716 | 700.027 | 701.182 | 702.226 | 703.186 | 705.713 | 706.468 | 707.189 | 707.881 | 708.547 | 712.661 | 716.129 | 719.184 | 721.946 | 724.486 | 726.851 | 729.071 | 731.171 | 733.169 | 735.078 | 736.909 |
| expected move | 8.473 | 9.784 | 10.939 | 11.983 | 12.943 | 15.469 | 16.224 | 16.946 | 17.638 | 18.304 | 22.417 | 25.885 | 28.941 | 31.703 | 34.243 | 36.607 | 38.828 | 40.928 | 42.926 | 44.835 | 46.665 |
Nianguang Zhao '25G, Master's in Financial Engineering at Lehigh University | Aspiring Quant | Cleared CFA Level 1
